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Treasury: Bank Liquidity Risk Management


Bank Liquidity Risk Management

Presenter: Professor Moorad Choudhry, Dept of Mathematical Sciences, Brunel University

Course Running Time: 5 Hours 

Part 1 (Running Time: 51:05)

Part 2 (Running Time: 1.16:01)

Part 3 (Running Time: 38:46)

Part 4 (Running Time: 58:41)

Part 4 Q&A (Running Time: 15:45)

Part 5 (Running Time: 19:23)

Part 6 (Running Time: 17:18)

Part 7 (Running Time: 14:11)

Part 8 (Running Time: 06:39)

This one-day course provides business best-practice tools and techniques for bank liquidity risk management. Aimed at senior or experienced Treasury and Finance practitioners, it is an advanced-level workshop that covers the complete spectrum from governance and policy to risk measurement and stress testing. Delegates should leave with a complete understanding of leading edge banking liquidity risk practice, delivered within the overall context of asset-liability management (ALM) and balance sheet risk management.

Learning Outcomes:

1. Ability to work with complex material including bank management information (MI). 
2. Ability to present MI and policy to a group of peers and executives.
3. Ability to formulate policy and develop a coherent strategic plan for a bank’s liquidity risk management and liabilities mix.
4. Recognise the limitations of modelling approaches commonly used in quantitative finance when applied to estimating asset-liability gap exposure, and formulate a comprehensive suite of liquidity risk metrics, both qualitative and quantitative, that can be applied at any banking institution as part of its risk management process and procedure.
5. Recognise the major characteristics of liquidity and funding risk exposure at a bank or non-bank financial, and construct appropriate risk mitigation strategy and policy approaches.
6. Design and implement suitable liquidity risk management policy and integrate within the overall financial risk management policy framework.
7. Understand the role of the bank's asset-liability committee (ALCO) in risk management and apply best-practice ALCO governance and policy approach as priority segment of the overall liquidity risk management infrastructure in the bank.

Lecture 1        
Treasury Operating Model – ALCO Practice

Lecture 2        
Board Risk Appetite Statement - Liquidity Risk template
Liquidity Policy Statement
Encumbrance Policy
Liquidity Metrics MI
LCR Impact Analysis Example

Lecture 3        
Stress ILAA Deposits Strategy
Deposit Raising
Intra Day Liquidity Risk

Lecture 4        
Internal Funds Transfer Pricing (FTP)

Lecture 5
Funding policies by asset and liability product line:-
Banking book, Trading Book, Derivatives

Lecture 6        
Constructing the internal funding curve

Lecture 7        
Liquid Asset Buffer (LAB) policy

Lecture 8        
Final Word



Published date

17 April 2014



Presenter Bio

Moorad Choudhry

Professor Moorad Choudhry is at the Department of Mathematical Sciences, Brunel University. He is also Honorary Professor at Kent University Business School and Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London. Moorad has over 25 years experience in banking in the City of London and was latterly Treasurer at Williams & Glyn plc, Royal Bank of Scotland. Prior to that he was Head of Treasury at RBS Corporate Banking, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and vice-president in structured finance services at JPMorgan Chase Bank. Moorad is a Fellow of the Chartered Institute for Securities & Investment and a member of the Board of Governors of IFS-University College. He is Editor of Review of Financial Markets, and on the Editorial Boards of the Journal of Structured Finance, Qualitative Research in Financial Markets and American Securitization. He is author of The Principles of Banking (John Wiley & Sons 2012).